1 citations · 2 across the 3 of their papers we have counts for
3 papers
Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints
Marc Chataigner, Areski Cousin, Stéphane Crépey +2
We explore the abilities of two machine learning approaches for no-arbitrage interpolation of European vanilla option prices, which jointly yield the corresponding local volatility…
Nowcasting Networks
Marc Chataigner, Stephane Crepey, Jiang Pu
We devise a neural network based compression/completion methodology for financial nowcasting. The latter is meant in a broad sense encompassing completion of gridded values, interp…
Deep Local Volatility
Marc Chataigner, Stéphane Crépey, Matthew Dixon
Deep learning for option pricing has emerged as a novel methodology for fast computations with applications in calibration and computation of Greeks. However, many of these approac…